Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0619
Annualized Std Dev 0.2222
Annualized Sharpe (Rf=0%) 0.2784

Row

Daily Return Statistics

Close
Observations 5156.0000
NAs 1.0000
Minimum -0.1245
Quartile 1 -0.0058
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0068
Maximum 0.1232
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0140
Skewness -0.2555
Kurtosis 7.6520

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0098
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6280
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0342
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0383
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-01-24 -0.6280 1332 355 977
2000-09-05 2002-10-09 2006-04-19 -0.5035 1387 500 887
2020-02-13 2020-03-23 2020-10-09 -0.4020 167 27 140
2018-09-24 2018-12-24 2019-07-01 -0.2449 193 64 129
2015-03-03 2016-01-20 2016-06-08 -0.1654 321 224 97

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA 2.3 0.7 -0.3 3.3 -2.6 -0.7 2.7
2001 0.3 -0.5 -0.3 0.1 -0.1 0.8 -0.6 1 -2.1 3 0.4 -0.6 1.4
2002 -0.3 2.2 -0.1 0.7 1.2 -2.4 -2 -0.1 4.4 1.7 0.3 1.3 7
2003 0.8 0.3 0.3 -0.8 2 0.1 -0.3 0.3 2.6 0.3 1.3 0.2 7.1
2004 -0.4 1 0.3 -0.7 0 -1.5 0.1 0.6 1.3 0.5 1.8 -0.3 2.6
2005 0.5 0.5 -0.7 0.9 0.7 0.3 -0.1 -0.3 0.5 -0.1 1.3 -0.6 2.8
2006 0.7 0.8 0.1 0.2 1.4 -0.2 -0.9 0.6 -0.6 -0.6 -0.7 -0.6 0.1
2007 1 -0.1 -0.2 0.3 0.2 0 0.5 1.2 1.7 -1.9 0.6 -0.7 2.7
2008 1.8 -2.2 3.2 1.7 0.7 0 -0.6 -1.3 -2.2 2.3 -8.4 2.2 -3.3
2009 -2.6 -2 1.8 1.1 4.5 0.8 0.6 -1.9 -2.6 -2.9 1.5 -1.3 -3.3
2010 1.4 1.2 0.8 -2.2 -2.2 -0.7 0.3 3.7 0.3 0 2.6 0 5.1
2011 1.6 -2.1 0.8 0.3 -3 1.8 -0.7 -1.6 -3.1 -3 -0.3 -0.3 -9.3
2012 1.4 0.5 0.3 0.4 -2.9 3.2 -0.8 0.5 0.2 1.8 -0.1 1.9 6.3
2013 1.1 -0.3 -1.2 -1.4 -0.9 1.1 1.9 -0.7 0.8 0.6 -0.4 0.4 1
2014 -0.6 0.3 0.7 -0.2 0 0.7 0 0.1 -1.8 1.3 -1.2 -1.1 -2
2015 -1.5 -0.4 -0.7 1 0.2 0.5 -0.1 -2.9 -0.1 0.1 0.4 -0.7 -4.1
2016 -0.2 2.2 0.6 -0.6 0.1 0.3 -0.2 0.2 0.8 -0.8 0.4 -0.4 2.3
2017 -0.2 1.6 -0.3 -0.1 0.8 0.7 -0.2 0.1 0.2 -0.2 -1.1 -0.3 1.1
2018 -0.5 -1.8 1.6 -0.2 1.2 0.4 -0.9 0.1 0.7 1.6 1 1 4.1
2019 0.3 0.5 1.9 -1 -1.2 0.6 -1.5 0.3 -2.1 1.8 -0.5 0.2 -0.9
2020 -2.3 -1.1 -4.8 -2.9 0.2 -0.3 -0.2 1 -0.2 -0.5 0.3 0.5 -9.8
2021 1.6 2.8 -0.7 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-07-14  30.4 SPY    151.  0.0098  0.0213    0.023    0.0485   0.0665       NA       NA <NA>     NA    NA       NA
2 2000-07-19  30.2 SPY    149. -0.0072 -0.00290   0.0015   0.0292   0.0788       NA       NA <NA>     NA    NA       NA
3 2000-07-20  31.0 SPY    151.  0.013   0.0056    0.0182   0.0524   0.107        NA       NA <NA>     NA    NA       NA
4 2000-07-28  28.4 SPY    142. -0.0226 -0.0379   -0.0238  -0.0207   0.0704       NA       NA <NA>     NA    NA       NA
5 2000-08-01  29.1 SPY    144.  0.0068 -0.0233   -0.0097  -0.0017   0.0864       NA       NA <NA>     NA    NA       NA
6 2000-08-02  29.1 SPY    145.  0.005  -0.0088   -0.0182   0.021    0.107        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart